Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0701
Annualized Std Dev 0.2205
Annualized Sharpe (Rf=0%) 0.3179

Row

Daily Return Statistics

Close
Observations 4027.0000
NAs 1.0000
Minimum -0.1179
Quartile 1 -0.0053
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0065
Maximum 0.1204
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0139
Skewness -0.5402
Kurtosis 11.1165

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0098
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.6381
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0344
Modified VaR (95%) -0.0214
Modified ES (95%) -0.0434
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-07 -0.6381 1489 444 1045
2019-12-23 2020-03-23 2020-12-04 -0.4556 241 62 179
2015-03-24 2016-01-21 2016-07-12 -0.2149 327 208 119
2017-03-02 2018-12-24 2019-06-19 -0.1894 572 451 121
2019-07-25 2019-08-27 2019-09-11 -0.1185 34 24 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA -0.4 0.6 0.3 0.3 0.1 0.7 0.4 0.5 1.5 -0.5 3.5
2006 -0.3 0.2 -0.1 -0.2 1.5 0.4 -0.4 0.6 -0.6 -0.6 -0.3 -0.7 -0.5
2007 1 -0.3 0 0.2 0.6 -0.6 0.2 1.3 1.2 -1.8 0.3 -0.3 1.8
2008 1.5 -2.9 3.1 1.9 0 0.1 -0.1 -0.7 -0.8 -1.3 -8.4 1.9 -6.2
2009 -3.1 -1.4 1.9 0.4 3.3 1.5 0 -2 -2.1 -2.3 1.3 -1.1 -3.8
2010 1.6 1 1.6 -2.5 -1.2 -0.8 0 2.9 0.2 0 1.5 -0.1 4.2
2011 1.9 -1.2 0.5 -0.1 -1.5 1.7 -1.1 -1.2 -2.5 -2.5 0.4 -0.1 -5.8
2012 1.8 0.2 0 1.5 -3.3 3.8 -0.3 0.4 -0.1 1.7 0.3 1.3 7.4
2013 0.9 0.3 -0.6 -1.2 -0.8 0.7 1.8 -0.9 1 0.1 0.5 0 1.7
2014 -0.2 0.2 0.7 0.3 0 0.9 -0.1 0.2 -2 1.4 -1 -0.3 0.1
2015 -1.2 -0.3 -0.2 1.1 -0.1 0 0.3 -2.8 -0.6 0 0.7 -0.8 -3.9
2016 0.9 0.2 -0.1 -0.2 -0.3 0.9 -1.3 -0.6 0.5 -0.7 0 -0.3 -1.1
2017 -0.3 1.6 0.2 0.1 1.6 0.1 0.2 0.5 0.1 -0.1 0.1 -0.5 3.6
2018 -0.3 -0.5 1 -0.7 0.2 0.1 -0.8 -1.1 -0.5 0.6 0.5 0.4 -1.2
2019 -0.2 0.7 0.9 -0.8 -0.3 -0.1 -3.3 -0.3 -2.1 1.9 -0.8 0 -4.5
2020 -2.5 -2 -6.2 -4.3 0.9 -2.3 -0.7 1.3 0.8 -0.1 2 -0.1 -12.8
2021 2.4 3 0 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  15.1 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  15.3 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  15.4 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  15.3 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  15.3 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  15.2 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart